Drill bits are hard to find in a hardware store
The HF sets are carbon steel, bad material, wrong sized, bad heat treat, bent, and so on.
It’s all confused by marketing bullsiht.
They often refer to Titanium, Black oxide, gold something
That’s just the coating on the drill
You want
“Jobber length Twist drill”
“HSS High Speed Steel”
Preferably you want Cobalt High speed steel HSS-CO
If you can find one in a hardware store, they are charging way too much for it.
For knife making you want sizes they don’t sell in the hardware store.
If you have a ¼” pin that measures .250” and you drill a ¼” hole in the steel and the wood to pass the pin, It shall not pass.
You need a slightly larger hole that you look to the letter and number size drills
A letter “F” drill .257 is ideal to pass the pin and allow for some glue.
It amounts to a hairs breadth clearance all around the pin.
If you’re building a workbench, you want a fractional index and you drill two sizes larger (1/32”) than the bolt you are putting in the hole.
Get a 6” stainless import dial caliper and a free tap drill decimal equivalent chart.
This all assumes you’re using a drill press. Hand drilling straight is impossible.
Good point above on drill speed.
A 1/4 drill in steel can be run at say 1,000 rpm according to charts.
but don't go that fast. Slow your speeds way down, nothing wrong with 250 rpm
Find a local MRO dealer
KBC tool, Travers tool, Sowa Tool
Get the PDF catalogues and read them. There’s plenty to learn
A brand name for USA drills is Norseman, and others
I like these
http://www.sowatool.com/Product/4/260/509
Note you can get all fractional, letter, number sizes